Supervising system stress in multiple markets

Mikhail V. Oet, John M. Dooley, Amanda C. Janosko, Dieter Gramlich, and Stephen J. Ong

This paper develops an extended financial stress measure that considers the supervisory objective of identifying risks to the stability of the financial system. The measure provides a continuous and bounded signal of financial stress using daily public market data. Broad coverage of material financial system markets over time is achieved by leveraging dynamic credit weights. We consider how this measure can be used to monitor, analyze, and alert financial system stress.

MoreLess

Year of publication:	2015
Authors:	Oet, Mikhail V. ; Dooley, John M. ; Janosko, Amanda C. ; Gramlich, Dieter ; Ong, Stephen J.
Published in:	Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 3.2015, 3, p. 365-389
Subject:	financial stress \| supervision \| financial system stability \| systemic risk \| Finanzkrise \| Financial crisis \| Bankenaufsicht \| Banking supervision \| Systemrisiko \| Systemic risk \| Finanzsektor \| Financial sector \| Finanzsystem \| Financial system

freely available

Full text |

More access options

doi.org

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

Extent:	graph. Darst.
Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/risks3030365 [DOI] hdl:10419/167861 [Handle]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011402602